London-based WyeTree invests in distressed assets that derive their principal risk and return from residential mortgages or residential real estate and which are oversold due to market technical factors.

WyeTree is currently investing in U.S. subprime mortgage-backed securities and subprime mortgages, but it is expected to eventually invest in mortgages outside the U.S., as well as in securities backed by home loans rated higher than subprime. The vehicle may also invest in other distressed assets.

In addition to providing WyeTree with long-term strategic capital, SkyBridge Capital will seek to enhance its investment in WyeTree by providing business-building support.

SkyBridge Capital’s investment is being made from its SkyBridge Capital II Fund. In aggregate, SkyBridge Capital and its underlying managers currently have approximately $1.5 billion under management.

WyeTree was founded in 2007 by two securitization specialists: Michael Chacos, chief executive officer, and Judith Sciamma, portfolio manager.

From the current issue of

The ratio calendar combination spread couples two ratio calendar spreads, one using calls and the other using puts. The call strike prices are higher than the put strike prices. This strategy is complex and profit is limited, but if a high amount of time value is involved in the short positions, that profit can be substantial and risk is still limited.